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Systematic risk from a corporate structural model approach: from Merton 1974 to Merton 2013

T. Corzo, L. Lazcano, J. Márquez, L. Gismera, S. Lumbreras

This paper presents an estimation of the financial risk underlying a worldwide sample of countries and companies by means of Principal Component Analysis and analyzes the main features of this systematic risk factor to study its consistency and possible use as a stochastic discount factor. We study its geographical structure and relate it to the VIX index. Its properties lead us to propose it as a background financial risk factor, which also serves as measure of integration in the international markets. This paper applies the Corporate Structural Model and its extension, the Contingent Claims Approach, to understand the sectors of an economy as interconnected portfolios, and makes use of the information embedded in credit and market financial assets.

Keywords: Systematic Risk, Corporate Structural Model, Contingent Claim Analysis, Principal Component Analysis, Credit Default Swaps.

Publicado: junio 2017.

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